P/L comparison
Buy & hold
P/L COMPARISON · PERCENT FROM ENTRY
buy & hold · participation factor overlaybuy & hold · Qlib / Alpha158 baseline
Weekly rebalance
P/L COMPARISON · PERCENT FROM ENTRY
weekly rebalance · participation factor overlayweekly rebalance · Qlib / Alpha158 baseline
Performance tables
| Management | Arm | Horizon | Status | Return | Maximum | Max date | Drawdown |
|---|---|---|---|---|---|---|---|
| buy & hold | participation factor overlay | 3 months | complete | 0.95% | 2.80% | 2023-02-02 | -7.35% |
| buy & hold | participation factor overlay | 6 months | complete | 5.39% | 5.97% | 2023-07-26 | -7.35% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.48% | 3.64% | 2023-02-02 | -8.96% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.57% | 6.16% | 2023-07-26 | -8.96% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.56% | 2.80% | 2023-02-02 | -8.54% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.34% | 2.80% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.20% | 3.64% | 2023-02-02 | -8.77% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.60% | 3.64% | 2023-02-02 | -9.70% |
Position ledger
This portfolio holds the initial selection. There are no scheduled rebalance decisions after entry.
Selected arm positions
50 positions in the selected record: buy & hold · participation factor overlay. The charts and performance table above contain all four arms in this formation group.
| Ticker | Entry date | Entry open | Model prediction | Participation score | Excluded |
|---|---|---|---|---|---|
| AEP | 2023-01-30 | 81.05 | 0.2750 | 0.5115 | no |
| AIG | 2023-01-30 | 57.88 | 0.2477 | 0.5235 | no |
| AMCR | 2023-01-30 | 48.49 | 0.2490 | 0.4991 | no |
| ANET | 2023-01-30 | 31.25 | 0.2080 | 0.4896 | no |
| AZO | 2023-01-30 | 2389.75 | 0.2066 | 0.5573 | no |
| BAC | 2023-01-30 | 32.03 | 0.4486 | 0.5019 | no |
| BF.B | 2023-01-30 | 60.98 | 0.2047 | — | no |
| BRK.B | 2023-01-30 | 307.60 | 0.3232 | — | no |
| BSX | 2023-01-30 | 45.84 | 0.2196 | 0.4930 | no |
| CF | 2023-01-30 | 75.62 | 0.5537 | 0.4978 | no |
| CI | 2023-01-30 | 288.39 | 0.2063 | 0.4900 | no |
| CINF | 2023-01-30 | 97.25 | 0.2417 | 0.5766 | no |
| CNP | 2023-01-30 | 26.92 | 0.2527 | 0.4855 | no |
| COP | 2023-01-30 | 108.33 | 0.3417 | 0.6526 | no |
| CPB | 2023-01-30 | 44.19 | 0.4286 | 0.4858 | no |
| CSX | 2023-01-30 | 28.35 | 0.3597 | 0.5127 | no |
| DGX | 2023-01-30 | 136.25 | 0.2167 | 0.5132 | no |
| DXCM | 2023-01-30 | 106.12 | 0.2558 | 0.5002 | no |
| EOG | 2023-01-30 | 117.06 | 0.3940 | 0.6234 | no |
| EQT | 2023-01-30 | 30.47 | 1.0651 | 0.6597 | no |
| ES | 2023-01-30 | 69.14 | 0.2581 | 0.5476 | no |
| FAST | 2023-01-30 | 22.75 | 0.6068 | 0.4578 | no |
| FDX | 2023-01-30 | 140.41 | 0.2173 | 0.5203 | no |
| GILD | 2023-01-30 | 73.83 | 0.2487 | 0.5748 | no |
| GPC | 2023-01-30 | 148.05 | 0.3736 | 0.5974 | no |
| GWW | 2023-01-30 | 551.42 | 0.3094 | 0.4947 | no |
| HD | 2023-01-30 | 286.42 | 0.2590 | 0.5476 | no |
| HSY | 2023-01-30 | 198.70 | 0.4040 | 0.4809 | no |
| HUM | 2023-01-30 | 466.17 | 0.3238 | 0.4801 | no |
| KHC | 2023-01-30 | 32.57 | 0.1969 | — | no |
| LNC | 2023-01-30 | 27.43 | 0.2652 | 0.5148 | no |
| LNT | 2023-01-30 | 47.86 | 0.4326 | 0.5617 | no |
| MOS | 2023-01-30 | 43.52 | 0.2326 | 0.5123 | no |
| MU | 2023-01-30 | 61.82 | 0.2120 | 0.5367 | no |
| NRG | 2023-01-30 | 30.77 | 0.2744 | 0.5171 | no |
| NSC | 2023-01-30 | 218.61 | 0.3753 | 0.5172 | no |
| NTAP | 2023-01-30 | 60.59 | 0.3026 | 0.5291 | no |
| PFE | 2023-01-30 | 35.33 | 0.2046 | 0.6124 | no |
| PG | 2023-01-30 | 128.64 | 0.2492 | 0.4803 | no |
| PNW | 2023-01-30 | 63.09 | 0.2758 | 0.5191 | no |
| RJF | 2023-01-30 | 105.49 | 0.2048 | 0.4815 | no |
| RSG | 2023-01-30 | 118.80 | 0.2795 | 0.5367 | no |
| SHW | 2023-01-30 | 222.72 | 0.3161 | 0.5194 | no |
| SNPS | 2023-01-30 | 354.27 | 0.2149 | 0.6106 | no |
| SO | 2023-01-30 | 59.22 | 0.3172 | 0.5306 | no |
| TRMB | 2023-01-30 | 57.28 | 0.3114 | 0.5309 | no |
| TSCO | 2023-01-30 | 41.99 | 0.2120 | 0.5601 | no |
| UNP | 2023-01-30 | 184.41 | 0.2299 | 0.5106 | no |
| XEL | 2023-01-30 | 60.04 | 0.2112 | 0.5629 | no |
| ZBH | 2023-01-30 | 121.52 | 0.3611 | 0.4967 | no |